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fund or strategy provides, whether the net expense ratio is reasonable for the style exposures provided and the efficiency … measures of style efficiency, one related to the expected style return of the strategy per bps of net expense ratio, which I … refer to as the Cost Efficiency Ratio (CER), and one related to the expected style return of the strategy relative to …
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Using an earnings forecasting model has been shown to be useful and highly statistically significant in U.S. stock selection. We find that incorporation of ESG criteria can enhance stockholder returns holding risk constant under reasonable assumptions. The novel approach here uses a...
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